I can connect to a remote sql server at home but not in the office. The server where the SQL Server is hosted is a VPS (Arvixe). How can I check if a firewall is making me not able to connect on that server?

If it's a firewall, then you will either get a "connection timed out" or "connection refused". Otherwise, the SQL error will say why you can't connect. Usually it's because the user has a restrictive host list and your office IP isn't on the list so it tosses a login failure.